if you want to archive every message that is going thru Exchange then you can use journaling mailbox.
When you login to Exchange Admin Center (ECP), go to Servers, Databases, then Edit, go to maintenance and choose Journal recipient.
After that you can backup that mailbox, export to pst, archive to archive mailbox or something.

You will need a third party application or service to manage this.
Turning on journaling will give you a copy of every message, but the mailbox can get out of hand very quickly. Either use a separate server such as GFI Mail Archiver, or something in the cloud to store the email.

Simon.

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crp0499CEOAuthor Commented: 2014-12-19

EXACTLY what I was looking for and I've done it a few times before and just drew a blank today. I kept looking down the left side and didn't even see the option at the top! UGH